Interest Rate Persistence and Monetary Policy Rule in Light of Model Uncertainty

Shou Yung Yin, Chang Ching Lin, Ming Jen Chang

研究成果: Article同行評審

摘要

We study how model uncertainty affects the understanding of the interest rate persistence using a generalized Taylor-rule function covering numerous submodels via model average approach. The data-driven weights can be regarded as a measure of power-sharing across monetary policy committee members. We show that the model uncertainty is important in Canada, France, and Sweden, and the implied weights indicate that the U.K. and the U.S. have a lower model uncertainty caused either by an over-influential chairman or the consistent agreement of committee members. The importance of model uncertainty can be emphasized by sequential estimation during the 2008 financial crisis.

原文English
頁(從 - 到)145-190
頁數46
期刊German Economic Review
24
發行號2
DOIs
出版狀態Published - 2023 5月 1

All Science Journal Classification (ASJC) codes

  • 經濟學與計量經濟學

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